Third Duration Investments Has the Following Assets and Liabilities on Its

Multiple Choice

Third Duration Investments has the following assets and liabilities on its balance sheet. The two-year Treasury notes are zero coupon assets. Interest payments on all other assets and liabilities occur at maturity. Assume 360 days in a year.
-Using present value bond valuation techniques,calculate the exact price of the bond after the interest rate increase of 20 basis points.

A) $1,007.94.
B) $992.02.
C) $992.06.
D) $996.01.